Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0703 |
| Annualized Std Dev | 0.2282 |
| Annualized Sharpe (Rf=0%) | 0.3079 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3666.0000 |
| NAs | 1.0000 |
| Minimum | -0.1166 |
| Quartile 1 | -0.0049 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1159 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0144 |
| Skewness | -0.3411 |
| Kurtosis | 10.9212 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0105 |
| Gain Deviation | 0.0103 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0149 |
| Downside Deviation (Rf=0%) | 0.0104 |
| Downside Deviation (0%) | 0.0104 |
| Maximum Drawdown | 0.6337 |
| Historical VaR (95%) | -0.0219 |
| Historical ES (95%) | -0.0359 |
| Modified VaR (95%) | -0.0215 |
| Modified ES (95%) | -0.0376 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2013-02-01 | -0.6337 | 1427 | 444 | 983 |
| 2020-02-13 | 2020-03-23 | 2021-01-07 | -0.4365 | 228 | 27 | 201 |
| 2018-01-29 | 2018-12-24 | 2019-12-12 | -0.2343 | 473 | 229 | 244 |
| 2015-05-22 | 2016-02-11 | 2016-08-15 | -0.1968 | 311 | 183 | 128 |
| 2014-09-08 | 2014-10-13 | 2014-11-05 | -0.0846 | 43 | 26 | 17 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | 0.4 | -0.4 | -0.6 | -0.2 | -0.4 | -1.3 |
| 2007 | 0.7 | -0.3 | 0 | 0.2 | 0.6 | 0 | 0.3 | 1.2 | 1.6 | -2.5 | 0.6 | -0.5 | 1.9 |
| 2008 | 2.2 | -3 | 3.7 | 1.8 | 0 | 0.2 | -0.1 | -0.7 | 0 | 2.3 | -10.7 | 2.2 | -2.8 |
| 2009 | -3 | -1.5 | 2.2 | 0.1 | 3.6 | 1.2 | 0.6 | -3 | -3.5 | -3.2 | 1.4 | -1.2 | -6.6 |
| 2010 | 1.5 | 1.3 | 1 | -1.9 | -2.7 | -0.8 | 0.1 | 3.4 | 0.4 | -0.1 | 2.1 | -0.2 | 4 |
| 2011 | 1.5 | -1.9 | 0.7 | 0 | -2.3 | 1.8 | -0.8 | -1.6 | -2.4 | -2.9 | -0.3 | -0.4 | -8.4 |
| 2012 | 1.8 | 0.6 | 0.2 | 0.7 | -2.8 | 2.4 | -0.4 | 0.4 | 0 | 1.5 | 0.4 | 1.7 | 6.5 |
| 2013 | 0.8 | 0.2 | -0.7 | -1.1 | -1.2 | 0.9 | 1.8 | -0.5 | 0.9 | 0.2 | -0.3 | 0.5 | 1.4 |
| 2014 | -0.6 | 0.1 | 0.7 | 0 | 0.1 | 0.6 | -0.1 | 0.3 | -1.2 | 1.3 | -1 | -1 | -0.8 |
| 2015 | -1.3 | -0.2 | -0.4 | 1 | 0.1 | 0.6 | 0.1 | -2.9 | -0.1 | -0.2 | 0.9 | -0.8 | -3.2 |
| 2016 | 0.2 | 1.9 | 0.3 | -0.5 | 0.3 | 0.2 | -0.5 | -0.1 | 0.8 | -0.7 | -0.3 | -0.3 | 1.4 |
| 2017 | -0.1 | 1.4 | 0 | -0.1 | 1.2 | 0.2 | 0.4 | 0.6 | 0.3 | 0.1 | 0 | -0.5 | 3.4 |
| 2018 | -0.1 | -0.8 | 1.3 | -0.3 | 0.7 | 0.1 | -0.9 | 0.1 | -0.2 | 1.6 | 0.4 | 0.9 | 2.7 |
| 2019 | 0.2 | 0.5 | 1.3 | -0.9 | -1.1 | 0.6 | -1.4 | 0.3 | -1.6 | 1.3 | -0.5 | 0.4 | -0.7 |
| 2020 | -1.6 | -1.9 | -5.4 | -3.4 | 1.4 | -0.5 | -0.1 | 0.5 | 0.3 | -0.2 | 1.1 | 0.8 | -8.9 |
| 2021 | 1.6 | 2.3 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-08-24 50.8 SPY 130. -8.00e-4 -0.00290 0.0222 0.015 0.0702 0.297 0.110 GLD 61.8 -1.30e-3 0.0118
2 2006-08-25 50.7 SPY 130. 1.20e-3 -0.0067 0.0245 0.0111 0.0676 0.297 0.102 GLD 61.8 3.00e-4 0.012
3 2006-08-28 51.1 SPY 130. 4.80e-3 0.0023 0.0191 0.0343 0.0801 0.302 0.126 GLD 61 -1.25e-2 -0.0231
4 2006-08-29 51.3 SPY 131. 1.20e-3 0.0035 0.0214 0.0241 0.0731 0.296 0.116 GLD 60.9 -1.00e-3 -0.0179
5 2006-08-30 51.4 SPY 131. 6.00e-4 0.0069 0.027 0.015 0.0794 0.288 0.121 GLD 61.4 7.90e-3 -0.0066
6 2006-08-31 51.6 SPY 131. -2.00e-4 0.0076 0.02 0.0127 0.0658 0.271 0.0976 GLD 62.3 1.42e-2 0.0087
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
